Results 11 to 20 of about 324,166 (346)
The Pricing of Portfolio Credit Risk [PDF]
SSRN Electronic Journal, 2006 Equity and credit-default-swap (CDS) markets are in disagreement as to the extent to which asset returns co-move across firms. This suggests market segmentation and casts ambiguity about the asset-return correlations underpinning observed prices of portfolio credit risk.
Nikola A. Tarashev, Haibin Zhu
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Dynamic Hedging of Portfolio Credit Derivatives [PDF]
SIAM Journal on Financial Mathematics, 2008 We compare the performance of various hedging strategies for index collateralized debt obligation (CDO) tranches across a variety of models and hedging methods during the recent credit crisis. Our empirical analysis shows evidence for market incompleteness: a large proportion of risk in the CDO tranches appears to be unhedgeable.
Rama Cont, Yu Hang Kan
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Bank’s Credit Portfolio Optimization Using Actuarial Approach and Artificial Neural Networks [PDF]
تحقیقات مالیObjectiveAllocating funds to various economic sectors and extending credit are among the key activities of banks. While following monetary and fiscal policies set by governments and central banks, banks strive to allocate these resources to profitable ...
Saeed Bajalan +2 more
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A model for achieving the allocative efficiency of credit resources in Ukraine’s banking system [PDF]
Banks and Bank Systems, 2017 The article presents a model for achieving the allocative efficiency of credit resources in Ukraine’s banking system. The research involves establishing a set of criteria for assessing a borrower’s creditworthiness and analyzing them by means of the ...
Lesia Dmytryshyn, Ivan Blahun
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Systems, 2022 Rural preferential loans usually take the form of portfolio credits. From the perspective of public interest, the total delay time for obtaining loans is expected to be minimized.
Huijun Huang, Yuzhong Li
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VIABILITY OF USING CARBON CREDIT FUTURES IN INVESTMENT PORTFOLIOS
Revista de Contabilidade e Organizações, 2015 With an odd pricing in the market, the Future Carbon Credit can act as mitigating risk when added to investment portfolios, ceasing to be simple positive socio-environmental assets to bring real benefits to the strategy of the Portfolio.
Renato Marques da Silva +1 more
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CREDIT RISK MANAGEMENT IN THE BANK’S FINANCIAL STABILITY SYSTEM
Фінансово-кредитна діяльність: проблеми теорії та практики, 2021 It is considered and updated the model of risk assessment of bank credit portfolio in the article. The profitability and risk are the main parameters of a bank loan portfolio.
B. V. Samorodov +4 more
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Optimal Credit Swap Portfolios
Management Science, 2014 This paper formulates and solves the selection problem for a portfolio of credit swaps. The problem is cast as a goal program that entails a constrained optimization of preference-weighted moments of the portfolio value at the investment horizon. The portfolio value takes account of the exact timing of protection premium and default loss payments, as ...
Kay Giesecke +3 more
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Optimization strategies in credit portfolio management [PDF]
Journal of Global Optimization, 2007 This paper focuses on the application of an original global optimization algorithm, based on the hybridization between a genetic algorithm and a semi-deterministic algorithm, for the resolution of various constrained optimization problems for realistic credit portfolios.
Benjamin Ivorra +2 more
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METHODS OF ANALYZING AND ESTIMATING CREDIT RISK OF THE BANK IN THE RUSSIAN FEDERATION
Вестник Российского экономического университета имени Г. В. Плеханова, 2017 Regulating the risk of credit portfolio is a major direction of efficient management of the bank's credit work. The principle goal of the process of credit portfolio management is ensuring maximum profitability at a certain level of risk. Qualitative and
Bahrom A. Tursunov
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